Volatility Forecasting with the Absolute Restricted Least Squares Models and the Information from the Option Markets
碩士 === 逢甲大學 === 財務金融學系碩士班 === 101 === This study investigates the volatility forecasting in two aspects, backward-looking and forward-looking forecast of volatility, using Taiwan stock exchange capitalization weighted stock index (TAIEX) and index option (TXO) as the research sample. The backward-l...
Main Authors: | , |
---|---|
Other Authors: | |
Format: | Others |
Language: | zh-TW |
Published: |
2013
|
Online Access: | http://ndltd.ncl.edu.tw/handle/94083181145431270817 |